Superreplication under Volatility Uncertainty for Measurable Claims
Pricing of Securities
2013-04-16 v2 Optimization and Control
Probability
Abstract
We establish the duality-formula for the superreplication price in a setting of volatility uncertainty which includes the example of "random G-expectation." In contrast to previous results, the contingent claim is not assumed to be quasi-continuous.
Keywords
Cite
@article{arxiv.1208.6486,
title = {Superreplication under Volatility Uncertainty for Measurable Claims},
author = {Ariel Neufeld and Marcel Nutz},
journal= {arXiv preprint arXiv:1208.6486},
year = {2013}
}
Comments
16 pages; forthcoming in 'Electronic Journal of Probability'